The right to privacy is in part established through Supreme Court decisions but the most important element is the 4th amendment.

Whether data mining is ethically wrong I think depends on the data being mined and whether you have voluntarily made such data public. The most common use is still probably automated scripts than search public posts in order to deliver targeted advertising. I don't see that is particularly immoral but that's probably not the most nefarious example either. On the other hand, Google scanning your e-mail to do the same is more questionable ethically though I'm sure you signed away your expectation of privacy in the user agreement when you signed up. Where the real issue arises though is when the government asks for your e-mails from Google. In my view your e-mail is your data (the same as if it was your "papers") and google should not give them to the government without a warrant (replace Google with AT&T, etc.). If I placed notes or a USB drive in a safety deposit box I would expect the same from a bank. Those expectations aren't always reality though. The reality of the internet is that the only way to ensure privacy (and even then it's a somewhat temporary measure) is to use the strongest encryption possible. Even if companies like Google and Facebook or anyone else don't give up your data voluntarily, hacks happen on a daily basis where information assumed to be private is released.

I think it's kind of funny that pizza.com isn't actually owned by any of the major pizza chains. I remember when I first started creating web pages I would put a little pi symbol at the bottom of the page. I forget what I linked it to. Probably traffic statistics or something.